splot 'fred.dat' with lines, 'lola.dat' with lineswould draw both a mesh of lines and a pm3d surface for each data set. If the option explicit is on (or implicit is off) only plots specified by the with pm3d attribute are plotted with a pm3d surface, e.g.:
splot 'fred.dat' with lines, 'lola.dat' with pm3dwould plot 'fred.dat' with lines (only) and 'lola.dat' with a pm3d surface.
On gnuplot start-up, the mode is explicit. For historical and compatibility reasons, the commands set pm3d; (i.e. no options) and set pm3d at X ... (i.e. at is the first option) change the mode to implicit. The command set pm3d; sets other options to their default state.
If you set the default data or function style to pm3d, e.g.:
set style data pm3dthen the options implicit and explicit have no effect.